主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2022, Vol. 30 ›› Issue (4): 42-51.doi: 10.16381/j.cnki.issn1003-207x.2020.1759

• Articles • Previous Articles     Next Articles

Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints

ZHANG Peng1, LI Ying1, ZENG Yong-quan2   

  1. 1. School of Economics and Management, South China Normal University, Guangzhou 510006, China;2. College of Humanities and Social sciences, Zhongkai University of Agriculture and Engineering, Guangzhou 510225, China
  • Received:2020-09-12 Revised:2021-02-25 Online:2022-04-20 Published:2022-04-26
  • Contact: 张鹏 E-mail:zhangpeng300478@aliyun.com

Abstract: Considering the borrowing constraints, threshold constraints, return demand and cardinality constraints, a new multiperiod possibislistic mean standard lower semi-variance portfolio selection model is proposed. Based on the possibilistic theory, the proposed model can be transformed into a crisp nonlinear dynamic optimization problem. Because the standard deviation operator is not separable, the optimal solution of the model is not time-consistent. By applying the game theory, the model is transformed into a time-consistentdynamic optimization problem. The discrete iteration method is used to obtain the optimal time-consistent strategy.Finally, the comparison analyses of trade-off parameters, different desired number of risk assets and different borrowing constraints are givento illustrate the idea of the model and the effectiveness of the designed algorithm.

Key words: multiperiod fuzzy portfolio selection; mean standard lower semi-variance; return demand; time-consistent strategy; a discrete approximate iteration method

CLC Number: